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Keywords: book to market equity
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Journal Articles
Journal:
Managerial Finance
Managerial Finance (2005) 31 (12): 46–57.
Published: 01 December 2005
... and respond to the claim that multi factor model findings can be explained by the turn of the year effect. Our results show that firm size, book to market equity and idiosyncratic volatility are priced risk factors in addition to the theoretically well specified market factor. As far as the turn of the year...
